From Prokyon3 select File | Create new database. Use the superuser name and password for your MySQL server. Most probably the default value is OK for your installation (which means that there is no root password required in most cases). You must first create a valid database to proceed any further. A message box will confirm this has been done. Now you should be able to connect to the server with File | connect and get a little smiling face in the status bar at the bottom of Prokyon3. If this is the case, just relax, you are nearly done (see also FAQ here).